Interest Rate Derivatives
2024 YTD vs. 2023 YTD
- Total IRD traded notional decreased by 8%, while trade count increased by 6%
- Fixed-for-floating IRS traded notional decreased by 29%, while trade count increased by 6%
- FRA traded notional and trade count decreased by 79% and 86%, respectively
- OIS traded notional and trade count increased by 39% and 42%, respectively
- 77% of total traded notional was cleared vs. 82% last year
- 54% of total traded notional was executed on SEFs vs. 61% last year
Credit Derivatives Reported under CFTC Regulations
2024 YTD vs. 2023 YTD
- Total index credit derivatives traded notional and trade count decreased by 13% and 3%, respectively
- CDX HY traded notional decreased by 13%, while trade count increased by 0.2%
- CDX IG traded notional and trade count decreased by 4% and 5%, respectively
- iTraxx Europe traded notional and trade count decreased by 16% and 12%, respectively
- 86% of total traded notional was cleared vs. 81% last year
- 86% of total traded notional was executed on SEFs vs. 79% last year
Credit Derivatives Reported under SEC Regulations
YTD Ending January 5, 2024
- Total security-based credit derivatives traded notional was $10.3 billion, while trade count totaled 3.8 thousand
- Corporate single-name CDS traded notional totaled $7.8 billion, and trade count was 3.1 thousand
- Sovereign single-name CDS traded notional totaled $2.1 billion, and trade count was 0.5 thousand
- 47% of total traded notional was cleared
